XLF Options History — March 2012

In March 2012, XLF traded between $11.74 and $12.98. ATM implied volatility averaged 19.9%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 1.6% (HV 20d: 18.3%). Max pain ranged from $11.37 to $12.19. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.69.

Notable Days

2012-03-15: Highest Volume — 3,513,771 contracts
2012-03-13: Largest IV spike — 112.5% change
2012-03-13: Highest IV Rank — 24.9%
2012-03-06: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.50	$11.74	$12.98	$12.12	$12.84
Max Pain	$12.11	$11.37	$12.19	$11.37	$12.19
ATM IV	19.9%	14.3%	32.2%	17.8%	15.5%
Expected Move	5.6%	5.2%	7.2%	5.5%	5.2%
HV 20d	18.3%	12.5%	20.9%	15.3%	20.8%
HV 60d	18.4%	16.7%	20.9%	20.5%	16.7%
IV Rank	11.2%	5.0%	24.9%	8.8%	6.3%
IV Percentile	20.8%	1.6%	62.3%	10.3%	3.6%
Term Structure	1.3%	-0.2%	2.2%	0.8%	1.4%
VWIV	21.6%	19.4%	24.4%	20.1%	22.2%
Skew 25d	4.9%	2.7%	7.9%	7.6%	4.2%
Skew 10d	10.8%	6.7%	17.8%	15.4%	8.8%
Call IV 25d	18.8%	15.9%	21.5%	15.9%	19.2%
Put IV 25d	23.7%	22.2%	27.4%	23.5%	23.4%
Bid-Ask Spread %	19.60	8.68	30.99	10.67	14.59
Gamma HHI	0.32	0.25	0.42	0.42	0.30
Net GEX	58.3M	24.1M	80.8M	62.9M	69.6M
Net DEX	-860.8M	-1.74B	-153.9M	-688.6M	-931.9M
Net VEX	-8.6M	-10.1M	-7.2M	-8.0M	-9.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.69	0.06	2.12	0.43	0.59
Total Volume	434,787.955	89,212	3,513,771	244,107	167,206
Total OI	5,428,617.864	4,216,080	6,305,749	5,699,942	5,115,210

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2012-03-01	$12.12	$11.37	17.8%	5.5%	15.3%	8.8%	20.1%	7.6%	0.8%	62.9M	-688.6M	-8.0M	0.43	10.67	170,965	73,142	2,468,821	3,231,121
2012-03-02	$12.08	$11.37	17.6%	5.4%	15.4%	8.7%	22.7%	7.9%	0.6%	55.4M	-590.1M	-8.0M	1.44	8.68	36,546	52,666	2,487,154	3,261,969
2012-03-05	$12.03	$12.19	20.6%	6.0%	12.5%	12.0%	23.3%	5.4%	1.5%	55.0M	-540.3M	-7.7M	0.48	19.21	267,265	127,349	2,474,832	3,250,347
2012-03-06	$11.74	$12.19	27.4%	7.2%	15.2%	19.5%	24.2%	5.9%	0.7%	24.1M	-153.9M	-7.9M	0.38	19.61	258,280	97,408	2,694,899	3,318,748
2012-03-07	$11.88	$12.19	14.3%	5.8%	15.8%	5.0%	23.1%	6.4%	1.9%	33.6M	-310.9M	-7.6M	0.34	21.20	241,288	82,487	2,507,183	3,351,735
2012-03-08	$12.00	$12.19	19.2%	5.8%	16.0%	10.4%	24.4%	6.0%	1.5%	45.1M	-496.0M	-7.7M	2.12	30.99	91,094	192,850	2,454,664	3,369,653
2012-03-09	$12.10	$12.19	17.8%	5.6%	16.1%	8.9%	20.7%	4.1%	1.6%	56.9M	-677.0M	-7.7M	1.03	26.47	108,166	111,910	2,454,712	3,516,391
2012-03-12	$12.06	$12.19	15.2%	5.4%	15.8%	5.9%	20.3%	4.1%	2.1%	59.8M	-590.9M	-7.4M	0.33	21.19	107,599	35,244	2,527,002	3,492,375
2012-03-13	$12.53	$12.19	32.2%	6.1%	20.4%	24.9%	21.1%	4.6%	-0.2%	58.7M	-1.34B	-7.2M	0.60	24.51	312,587	186,072	2,522,125	3,493,059
2012-03-14	$12.54	$12.19	30.7%	6.1%	19.9%	23.2%	20.3%	5.5%	0.4%	62.1M	-1.40B	-7.6M	0.34	20.25	384,460	131,028	2,625,473	3,562,497
2012-03-15	$12.76	$12.19	18.6%	5.3%	20.2%	9.7%	19.5%	4.3%	1.1%	58.1M	-1.74B	-7.9M	0.06	20.38	3,323,371	190,400	2,744,865	3,560,884
2012-03-16	$12.77	$12.19	18.7%	5.4%	19.7%	9.9%	19.7%	3.6%	1.6%	41.6M	-850.2M	-8.2M	0.18	20.76	664,381	118,790	2,052,861	3,544,080
2012-03-19	$12.84	$12.19	19.0%	5.4%	19.7%	10.2%	20.5%	2.7%	1.2%	56.8M	-914.5M	-8.8M	0.49	20.31	346,829	171,193	2,289,803	1,926,277
2012-03-20	$12.90	$12.19	20.3%	5.8%	19.7%	11.7%	22.7%	3.8%	0.8%	60.6M	-1.03B	-9.3M	0.34	18.65	220,673	75,560	2,526,130	2,000,141
2012-03-21	$12.84	$12.19	19.9%	5.7%	18.9%	11.2%	21.4%	2.8%	1.2%	66.1M	-944.4M	-9.7M	0.69	18.97	151,001	103,981	2,663,672	2,042,188
2012-03-22	$12.67	$12.19	19.1%	5.5%	19.8%	10.3%	22.0%	4.8%	2.1%	59.6M	-754.7M	-9.7M	0.83	20.43	76,046	62,983	2,742,194	2,110,403
2012-03-23	$12.78	$12.19	18.6%	5.3%	19.8%	9.7%	21.2%	4.3%	1.4%	67.1M	-874.4M	-9.7M	0.73	23.56	123,841	90,246	2,765,567	2,143,385
2012-03-26	$12.98	$12.19	18.6%	5.3%	20.2%	9.7%	19.4%	4.2%	1.1%	80.8M	-1.22B	-9.9M	0.46	22.98	90,866	41,349	2,811,238	2,193,752
2012-03-27	$12.86	$12.19	19.4%	5.6%	20.7%	10.7%	23.2%	5.0%	1.1%	69.8M	-1.00B	-10.1M	1.44	17.81	68,014	97,723	2,812,296	2,210,865
2012-03-28	$12.89	$12.19	18.4%	5.3%	20.6%	9.6%	21.4%	4.6%	2.2%	73.0M	-1.05B	-9.8M	0.83	17.84	83,438	69,117	2,806,914	2,225,114
2012-03-29	$12.76	$12.19	18.9%	5.4%	20.9%	10.1%	20.9%	6.6%	1.6%	65.8M	-833.7M	-10.0M	1.01	12.10	79,684	80,237	2,827,548	2,249,446
2012-03-30	$12.84	$12.19	15.5%	5.2%	20.8%	6.3%	22.2%	4.2%	1.4%	69.6M	-931.9M	-9.8M	0.59	14.59	105,185	62,021	2,816,097	2,299,113